sentimenTrader Blog


2017-07-13 | Jason Goepfert | Comments

This afternoon, in association with Bespoke Investment Group and a few other services, we will be rolling out a Premium Twitter feed that interested accounts can subscribe to outside of a regular SentimenTrader subscription. As an existing Premium tier subscriber, however, this is available to you at no extra charge. Because of how Twitter handles […]

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2017-07-10 | Jason Goepfert | Comments

Over the past couple of sessions, there have been some notable moves in silver, which seems like it should be a good sign for the metal going forward. There was heavy selling to end the week, then a reversal from a low on Monday. That often signals exhausted selling pressure. Unfortunately, it hasn’t been so […]

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2017-06-28 | Jason Goepfert | Comments

Several times over the past five years, we’ve taken a look at times when fund sponsors split the shares of their leveraged and/or inverse ETFs. When it occurs in clusters, or happens to some of the largest funds, it has been an excellent contrary indicator. So it was interesting that ProShares has now announced a […]

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If you've never tried the service before, then there is no charge for the first 30 days. Then pay as little as $1.59 per trading day for access to our award-winning research. There are three convenient billing options: $39/month, $109/quarter or $399/year.


2017-06-21 | Jason Goepfert | Comments

It’s somewhat difficult to find any indicators among the many we follow that are showing excessive pessimism toward stocks. On any given day lately, there have been maybe two or three.

One that has shown up for the past several days is the Call/Put Ratio from the ISE Exchange. Over the past three days, it has shown that options traders have bought to open fewer than 60 call options for every 100 put options. That ranks as the lowest amount in 15 years. Only the past couple of years have seen days with almost as few calls bought as we’ve seen the past few days.

And for stocks, that has been an excellent buy signal. The S&P 500 has rallied hard after other days the 3-day average was less than 60.

But if we dig into the data, it gets messy. Now that ISE has released the data, we can see that the most active option on Tuesday was on USO, the oil fund, which saw more than twice as many puts traded as calls. So it’s not exactly pessimism on equities that was driving the ratio lower.

The Equity-Only Call/Put Ratio (that excludes ETF and index options) hasn’t been as low as a result. Even though it hasn’t been as low, it has still been drifting lower and is at a point that would suggest that even pure equity options traders are showing some pessimism.

Historically, that has been a good sign for stocks. But not lately. Something has changed with the data over the past two years, and readings of extreme pessimism in the Equity-Only ratio have not consistently led to rallies in the S&P – in fact, it led to declines more often than rallies.

It’s tempting to look at the data and assume it’s a big buy signal for stocks here. But “something” is going on with the data, and we wouldn’t weigh it heavily at the moment.


2017-06-20 | Jason Goepfert | Comments

Markets are mostly quiet (again), but not so much in the energy patch. Oil is getting hit again and is now down 20% from its most recent peak, arbitrarily considered a bear market at this point.

We saw in a recent report that although oil has lost 2% a week for the past few weeks, it hasn’t been enough to signal selling exhaustion. Especially since most of the indicators we look at still are not showing excessive pessimism.

Let’s take a look at times when oil initially fell into bear market territory and see if that was enough to provide some relief:

Not really. Oil continued to fall about as often as rebound. Two months later, it was actually down even more the majority of the time and had a terrible risk/reward ratio. Longer-term returns were extremely volatile, with average risk over the next year of nearly -25% versus reward of +33%. There’s no edge there.

How about for stocks?

The S&P 500 index didn’t respond all that well to new oil bear markets. Over the next couple of months, it rallied only 7 out of the 15 times, sported a negative average return and nearly 2-to-1 risk-to-reward ratio. Since 1996, it led to negative returns 8 out of 10 times over the next two months.

How about for energy stocks specifically?

Again, not great. Energy stocks within the S&P 500 did tend to rebound over the next two weeks, up 12 out of the 15 times, but over the medium-term it was mixed. Six months later, Energy stocks were up 13 times, with a good average return and risk/reward ratio, but the losses in 2008 and 2010 were large.

How about Transports? Oil is a cost input so perhaps trucking firms and airline stocks took advantage.

There isn’t much evident of that here. The last three times all led to losses over the next 2-3 months. Transports’ overall average returns were about in line with random, and the risk/reward skews were underwhelming. That was especially the case if Transports were near their highs at the time. So much for cost savings.

There’s going to be an opportunity in this sector before long if the selling continues like this, but so far everything we’ve looked at has been inconclusive, especially on a short- to medium-term time frame. The fall is disturbing for stocks, which have suffered in recent years when oil dropped so much.


2017-06-14 | Eric Brown | Comments

Currently, there are 6 Stock indicators at Pessimistic Extremes and 48 Stock indicators at Optimistic Extremes.

The tables below display stock market indicators that are at Very Optimistic, Extremely Optimistic, Very Pessimistic or Extremely Pessimistic levels. Note: These tables contain only indicators from the Stocks section of the site. For the tables below, you can click through to each chart by clicking on the Chart name.

Pessimistic Extremes

Chart Last Close Last Update Sentiment
QQQ Liquidity Premium
78.0
2017-06-13
Insider Buy/Sell Seasonally Adj
1.17
2017-06-09
Rydex Energy Assets
27.3
2017-06-13
Rydex Energy Services Assets
14.1
2017-06-13
Small Spec Index Position
-4.92
2017-06-06
DIA Open Interest Ratio
0.7749
2017-06-13

Optimistic Extremes

Chart Last Close Last Update Sentiment
Short-term Optimism Index (Optix)
71.0
2017-06-13
AIM (Advisor and Investor Model)
71.0
2017-06-09
% Showing Excess Pessimism
3.0
2017-06-13
% Showing Excess Optimism
36.0
2017-06-13
VIX
10.42
2017-06-13
SKEW Index
136.9
2017-06-12
Options Speculation Index
124.0
2017-06-09
Small Trader Call Buying
36.0
2017-06-09
NYSE High/Low Ratio
87.0
2017-06-13
NASDAQ 100 Down Pressure
9.0
2017-06-13
Risk Appetite Index
78.0
2017-06-07
Equities as % of GDP
0.86
2017-03-31
NASDAQ 100 Combo Hedgers Position
-22226600000.0
2017-06-06
DJIA Hedgers Position
-25077.0
2017-06-06
DJIA Mini Hedgers Position
-50153.0
2017-06-06
DJIA Combo Hedgers Position
-10600600000.0
2017-06-06
Odd Lot Purchase Percentage
65.6999
2017-06-12
NAAIM Exposure Index
89.6
2017-06-07
Mutual Fund Cash Level
3.2
2017-04-28
Equity / Money Market Asset Ratio
4.62
2017-04-28
Retail Money Market Ratio
2.62
2017-04-17
NYSE Available Cash
-248093.0
2017-04-28
Rydex Ratio
82.0
2017-06-13
Rydex Money Market %
13.0
2017-06-13
Rydex Bull/Bear RSI Spread
86.0
2017-06-13
Rydex Total Bull Assets
1844.5
2017-06-13
Rydex Total Bull / Bear Ratio
10.5
2017-06-13
Rydex Biotechnology Assets
314.1
2017-06-13
Rydex Consumer Products Assets
323.2
2017-06-13
Rydex Electronics Assets
90.2
2017-06-13
Rydex Financial Services Assets
36.4
2017-06-13
Rydex Leisure Assets
50.1
2017-06-13
Rydex Technology Assets
109.2
2017-06-13
Dumb Money Confidence
68.0
2017-06-13
Hedge Fund Exposure
0.321
2017-06-08
Conference Board – Stocks
20.1
2017-05-31
Volatility ETF Fund Flow
0.063
2017-06-12
% Showing Excess Optimism-Pessimism Spread
0.33
2017-06-13
S&P 500 Buying Climaxes
68.0
2017-06-09
QQQ Open Interest Ratio
1.9068
2017-06-13
Fund Flow – ETF Total
15521.0
2017-05-31
Fund Flow – ETF Domestic
11651.0
2017-05-31
Fund Flow – Combined Total
14000.0
2017-05-31
Fund Flow – Combined Domestic
8483.0
2017-05-31
Fund Flow – Combined World
5517.0
2017-05-31
Short-Term Risk Levels
6.0
2017-06-13
Consumer Confidence – Stocks Up
42.6
2017-05-31
Consumer Confidence – Stocks Down
22.5
2017-05-31

2017-06-07 | Jason Goepfert | Comments

The oddities continue to pile up.

In the Report on Wednesday, we looked at times when declining volume outpaced advancing volume for almost two weeks, while stocks gained during that time. Very rare.

In late May, we looked at times when many stocks within the S&P 500 index reached a 52-week high, and there was also an abnormally large number of stocks hitting a 52-week low.

It happened again on Wednesday. Despite the S&P being within 0.25% of its high, more than 3% of its members reached a 52-week low. Almost all of them are oil & gas or retail companies, so perhaps that’s a valid reason to excuse the issue, but almost all “issues” start with one sector and spread to others. Note that in July 2015, it was energy and mining companies that dominated the 52-week low list.

It’s at least worth looking at the few other times we’ve seen this kind of a split with stocks so close to their high. It wasn’t pretty, with one of the most skewed risk/reward ratios we’ve ever seen (due in large part to a cluster of dates in 1998).

The only date that managed a positive return across all time frames was in December 1991, and even those shorter-term gains were mostly given back in the months ahead.


2017-06-05 | Eric Brown | Comments

Over the weekend we released a new version of the website that now allows users to plot any indicator as a secondary indicator.

Previously, you could only plot similar indicators (e.g., SPY Optix vs DIA Optix) due to technical limitations, but those limitations have been removed.  Now you are able to plot almost any indicator as a secondary indicator to any other indicator. Note: I say ‘almost’ any indicator because seasonality charts are not available to plot against other charts at this time.

A few examples are below.

SPY Optix vs SPY Shares Outstanding

SPY Optix vs SPY Shares Outstanding

Two Year Hedgers Position vs Two Year Optix

Two Year Hedgers Position vs Two Year Optix

SPY Fund Flow vs Spy Optix

SPY Fund Flow vs SPY Optix

TLT Social Sentiment (Premium Chart) vs TLT Optix

TLT Social Sentiment vs TLT Optix


2017-05-25 | Jason Goepfert | Comments

In the Report on Thursday, we took a look at the oddly low amount of volume flowing into securities on the NYSE for a day the S&P 500 rallied to a new high.

One of the issues with using NYSE breadth is that it’s impacted by issues that have nothing to do with the S&P 500 itself.

But even within the component stocks that make up the S&P, there is a disturbing lack of participation. An unusually low number of stocks are trading above their short-, medium-, and long-term moving averages given how well the S&P index itself has been performing. The reason, of course, is because a few large stocks are driving the index higher.

But what’s being masked is that an unusually large number of stocks within the S&P are not only lacking upside, they’re acting heavy.

According to Bloomberg data, 18.2% of stocks in the S&P made a 52-week high on Thursday, which is fine. But a remarkable 2.4% of them hit a 52-week low. That’s not fine.

Going back to 1990, there have been only three other days when more than 15% of stocks on the S&P reached a 52-week high on the same day that at least 2% of them also reached a 52-week low.

The dates were 1990-07-12, 2014-11-28, and 2014-12-08. The S&P’s reaction are shown in the charts below.

In 1990, it dropped more than 10% over the next month, while in 2014, it lost more than 4%. Its upside was not more than 1.5% in any of the cases. Yes, it’s only 3 precedents, but combined with the other breadth oddities, it’s a negative.


2017-05-25 | Jason Goepfert | Comments

It’s hard to not be suspicious of using price-based patterns when we seem to be continually seeing violations of prior historical patterns.

It’s entirely possible that the rise of quant-based trading has rendered many of these patterns unusable, either because they’ve been discovered and traded upon, or simply changed the dynamics underlying price activity. This has been especially true of very short-term movements. Medium-term and longer have been less impacted.

With that caveat in mind, stock futures are once again pointed higher this morning, despite (or because of) the overnight news flow.

Here is how the S&P 500 futures have performed after gapping up the morning after a new high and what had already been 5 straight up days. The table is focused only on occurrences during the bull market since 2009.

Even during the remarkable 2013-14 run, stocks took a short-term breather most of the time after such gap opens, at least over the next day or two.

Granted, all the other short-term price-based studies we’ve looked at in recent days suggested the streak should have ended at 3 days. Then 4 days. So we’re on the cusp of continually trying to push against a failed pattern, which can result in the dreaded “tilting at windmills” situation, especially as volume drops off and out-of-office email responses pile up ahead of the Memorial Day holiday.


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